The DOI matches its Crossref record; 27 of the 27 references it cites were found in a registry or an index.
How Stable is the Predictive Power of the Yield Curve? Evidence from Germany and the United States
Open accessAbstract
Empirical research over the last decade has uncovered predictive relationships between the slope of the yield curve and subsequent real activity and inflation. Some of these relationships are highly significant, but their theoretical motivations suggest that they may not be stable over time. We use recent econometric techniques for break testing to examine whether the empirical relationships are in fact stable. We consider continuous models, which predict either economic growth or inflation, and binary models, which predict either recessions or inflationary pressure. In each case, we draw on evidence from Germany and the United States. Models that predict real activity are more stable than those that predict inflation, and binary models are more stable than continuous models. The model that predicts recessions is stable over our full sample period in both Germany and the United States.
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Cites
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Self-citationPredicting U.S. Recessions: Financial Variables as Leading Indicators
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Self-citationFinancial Investment Opportunities and the Macroeconomy
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Cited by
Forecasting Output and Inflation: The Role of Asset Prices
Stock, J. H., & Watson, M. W. (2003) · Journal of Economic Literature · doi:10.1257/002205103322436197 · Cited by 1,076
Asymptotics for out of sample tests of Granger causality
McCracken, M. W. (2007) · Journal of Econometrics · doi:10.1016/j.jeconom.2006.07.020 · Cited by 696
Metadata
- Authors
- Estrella, A., Rodrigues, A. P., & Schich, S.
- Venue
- Review of Economics and Statistics
- Publisher
- MIT Press - Journals
- Published
- 2003-08
- Volume
- 85
- Issue
- 3
- Pages
- 629-644
- ISSN
- 0034-6535 (ISSN-L)
- 1530-9142
- OpenAlex
- W3123677032
- Cited by
- 348
- References
- 27
- FWCI
- 44.54
- Type
- journal article
- Language
- en
- Open access
- green
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